A Parameter Choice Rule for Tikhonov Regularization Based on Predictive Risk

DOI10.1088/1361-6420/AB6D58arXiv1912.13004MaRDI QIDQ6332014FDOQ6332014

Publication date: 30 December 2019

Abstract: In this work, we propose a new criterion for choosing the regularization parameter in Tikhonov regularization when the noise is white Gaussian. The criterion minimizes a lower bound of the predictive risk, when both data norm and noise variance are known, and the parameter choice involves minimizing a function whose solution depends only on the signal-to-noise ratio. Moreover, when neither noise variance nor data norm is given, we propose an iterative algorithm which alternates between a minimization step of finding the regularization parameter and an estimation step of estimating signal-to-noise ratio. Simulation studies on both small- and large-scale datasets suggest that the approach can provide very accurate and stable regularized inverse solutions and, for small sized samples, it outperforms discrepancy principle, balancing principle, unbiased predictive risk estimator, L-curve method generalized cross validation, and quasi-optimality criterion, and achieves excellent stability hitherto unavailable.

Mathematics Subject Classification ID

Numerical analysis (65-XX) General theory of linear operators (47Axx) Numerical analysis in abstract spaces (65Jxx) Integral transforms, operational calculus (44Axx)

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